use optmodel to solve OLS problem

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

The OLS problem can also be viewed as minization problem. Here is an example to solve it with proc optmodel.

%let n=10000;

data t1;
   do i=1 to &n;
      x=rannor(123);
      y=1+1*x+rannor(123);
      x0=1;
      output;
    end;
    keep y x x0;
run;

proc reg data=t1;
model y=x;
run;
quit;

proc optmodel;
   set I = 1 .. &n;
   number y{I};
   number x{I};
   number x0{I};
   read data t1 into [_n_] y x x0;
   var b0, b1;
   min f =
      sum{k in I}
         ( y[k] - (b0*x0[k] + b1*x[k]))**2;

reset printlevel=2;
   solve with nlp;
         
   solve with qp;
   print f b0 b1;
quit;

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：OPTMODEL problem Solve model mode problem example number

曲高和寡